Observability of Systemic Risk

Overview

This repository contains the implementation of the multi-asset jump-diffusion model used in the paper "The Observability of Systemic Risk through a Proxy Asset." The model integrates a systemic risk factor with several conditionally independent idiosyncratic factors to estimate the behavior of ordinary assets.

Contents

• Model Code: MATLAB code implementing the multi-asset jump-diffusion model.
• Testing Files: R code for testing the model's accuracy and performance using various approaches.
• Empirical Study Data: Excel datasets used for the empirical analysis in the paper.

Usage

1. Clone the repository:

   git clone https://github.com/yourusername/Systemic-Risk-Proxy-Asset.git
   cd Systemic-Risk-Proxy-Asset